3 papers in the archive (2025–2026), average empirical rigor 4.7/10, average math complexity 8.2/10. Quadrant mix: Holy Grail ×2, Lab Rats ×1.
Works mostly in Commodities & Energy Markets, Volatility Modeling & Forecasting, Options & Derivatives Pricing.
Frequent co-authors: Fred Espen Benth (1), Pere Diaz-Lozano (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian noise and mean-square integrability, we construct an over-parameterized model based on the martingale representation theor
This paper considers the often overlooked fact that electricity spot prices in individual European generation zones evolve as a high dimensional panel structure. A general continuous time framework is developed by formulating the panel as an ambit field indexed by a cylinder surface, where the cross
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process governed by a stochastic partial differential equation, we de